Empirical analysis of optimized portfolio allocation based onMarkowitz and index models
DOI:
https://doi.org/10.61173/kz021e65Keywords:
Markowitz, quantitative, investment, riskAbstract
There is a need to achieve a balance between asset returns and risks. This has remained a central focus of financial market research. It has served as a crucial reference for investment decision-making. There has been a weakness as this financial investment theory relies on qualitative analysis. This method has lacked robust quantitative methods. The resurgence and expansion of Western economies have led to a flourishing financial investment activities. This has prompted the emergence of the Modern Portfolio Theory (MPT). The theory was pioneered by Harry Markowitz in 1952. MPT has rapidly evolved over the period. It has attracted numerous scholars and yielded substantial research outcomes (Markowitz, 1991).
References
Fabozzi, F. J., Markowitz, H. M., & Gupta, F. (2008). Portfolio selection. Handbook of finance, 2.
Guerard Jr, J. B. (Ed.). (2009). Handbook of portfolio construction: contemporary applications of Markowitz techniques. Springer Science & Business Media. Jin, M., Li, Z., & Yuan, S. (2021, December). Research and analysis on the Markowitz model and index model of portfolio selection. In 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021) (pp. 1142- 1150). Atlantis Press.
Markowitz, H. M. (1991). Foundations of portfolio theory. The journal of finance, 46(2), 469-477.Top of Form
Zanjirdar, M. (2020). Overview of portfolio optimization models. Advances in mathematical finance and applications, 5(4), 419-435.
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